| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 1,965.88% | 1,706.82% |
| CAGR﹪ | 10.38% | 9.9% |
| Sharpe | 0.73 | 1.03 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.71 | 1.0 |
| Sortino | 1.12 | 1.88 |
| Smart Sortino | 1.09 | 1.83 |
| Sortino/√2 | 0.79 | 1.33 |
| Smart Sortino/√2 | 0.77 | 1.3 |
| Omega | 1.71 | 2.61 |
| Max Drawdown | -50.78% | -12.58% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2009-04-30 |
| Longest DD Days | 2223 | 1157 |
| Volatility (ann.) | 15.2% | 9.64% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.2 | 0.79 |
| Skew | -0.53 | 0.2 |
| Kurtosis | 0.83 | 3.01 |
| Ulcer Performance Index | 134.2 | 394.91 |
| Risk-Adjusted Return | 695.36% | 631.95% |
| Risk-Return Ratio | 0.21 | 0.3 |
| Avg. Return | 0.93% | 0.85% |
| Avg. Win | 3.59% | 2.33% |
| Avg. Loss | -4.42% | -2.49% |
| Win/Loss Ratio | 0.81 | 0.94 |
| Profit Ratio | 0.51 | 0.41 |
| Expected Daily | 0.83% | 0.79% |
| Expected Monthly | 0.83% | 0.79% |
| Expected Yearly | 9.93% | 9.47% |
| Kelly Criterion | 21.02% | 40.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.3% | -3.75% |
| Expected Shortfall (cVaR) | -9.08% | -5.7% |
| Max Consecutive Wins | 15 | 20 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.71 | 1.61 |
| Gain/Pain (1M) | 0.71 | 1.61 |
| Payoff Ratio | 0.81 | 0.94 |
| Profit Factor | 1.71 | 2.61 |
| Common Sense Ratio | 1.81 | 3.99 |
| CPC Index | 0.9 | 1.74 |
| Tail Ratio | 1.06 | 1.53 |
| Outlier Win Ratio | 2.94 | 4.67 |
| Outlier Loss Ratio | 2.86 | 3.94 |
| MTD | -1.05% | 0.23% |
| 3M | 13.91% | 1.01% |
| 6M | 8.94% | -6.44% |
| YTD | 8.94% | -6.44% |
| 1Y | 20.92% | 2.19% |
| 3Y (ann.) | 18.77% | 6.59% |
| 5Y (ann.) | 12.51% | 5.34% |
| 10Y (ann.) | 15.13% | 8.29% |
| All-time (ann.) | 10.38% | 9.9% |
| Best Day | 12.7% | 12.19% |
| Worst Day | -16.52% | -10.22% |
| Best Month | 12.7% | 12.19% |
| Worst Month | -16.52% | -10.22% |
| Best Year | 33.48% | 35.13% |
| Worst Year | -36.79% | -6.44% |
| Avg. Drawdown | -7.01% | -3.26% |
| Avg. Drawdown Days | 140 | 106 |
| Recovery Factor | 6.69 | 24.21 |
| Ulcer Index | 0.15 | 0.04 |
| Serenity Index | 2.77 | 19.54 |
| Avg. Up Month | 3.59% | 2.33% |
| Avg. Down Month | -4.42% | -2.49% |
| Win Days | 64.58% | 71.19% |
| Win Month | 64.58% | 71.19% |
| Win Quarter | 72.58% | 78.05% |
| Win Year | 81.25% | 84.38% |
| Beta | - | 0.27 |
| Alpha | - | 0.07 |
| Correlation | - | 42.09% |
| Treynor Ratio | - | 6392.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1995 | 1.57 | 1.16 | 0.74 | - |
| 1996 | 22.50 | 14.59 | 0.65 | - |
| 1997 | 33.48 | 12.76 | 0.38 | - |
| 1998 | 28.69 | 8.29 | 0.29 | - |
| 1999 | 20.39 | 10.11 | 0.50 | - |
| 2000 | -9.74 | -4.88 | 0.50 | + |
| 2001 | -11.76 | -5.66 | 0.48 | + |
| 2002 | -21.58 | 4.06 | -0.19 | + |
| 2003 | 28.18 | 21.01 | 0.75 | - |
| 2004 | 10.70 | 5.24 | 0.49 | - |
| 2005 | 4.83 | 9.36 | 1.94 | + |
| 2006 | 15.85 | 23.81 | 1.50 | + |
| 2007 | 5.15 | 22.20 | 4.31 | + |
| 2008 | -36.79 | -0.81 | 0.02 | + |
| 2009 | 26.35 | 35.13 | 1.33 | + |
| 2010 | 15.06 | 11.66 | 0.77 | - |
| 2011 | 1.89 | 13.30 | 7.02 | + |
| 2012 | 15.99 | 12.27 | 0.77 | - |
| 2013 | 32.31 | 10.42 | 0.32 | - |
| 2014 | 13.46 | 14.85 | 1.10 | + |
| 2015 | 1.23 | 1.31 | 1.06 | + |
| 2016 | 12.00 | 8.61 | 0.72 | - |
| 2017 | 21.71 | 13.68 | 0.63 | - |
| 2018 | -4.57 | 13.20 | -2.89 | + |
| 2019 | 31.22 | 5.73 | 0.18 | - |
| 2020 | 18.33 | 17.58 | 0.96 | - |
| 2021 | 28.73 | 10.48 | 0.36 | - |
| 2022 | -18.18 | -2.87 | 0.16 | + |
| 2023 | 26.18 | 9.11 | 0.35 | - |
| 2024 | 24.89 | 12.32 | 0.50 | - |
| 2025 | 17.72 | 12.71 | 0.72 | - |
| 2026 | 8.94 | -6.44 | -0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-04-30 | -12.58 | 518 |
| 2000-04-30 | 2003-06-30 | -12.09 | 1157 |
| 1998-06-30 | 1998-12-31 | -11.73 | 185 |
| 2004-04-30 | 2004-10-31 | -9.63 | 185 |
| 2010-05-31 | 2010-09-30 | -8.47 | 123 |
| 2012-03-31 | 2012-11-30 | -8.24 | 245 |
| 2026-03-31 | 2026-07-31 | -7.81 | 123 |
| 2019-05-31 | 2019-07-31 | -6.95 | 62 |
| 2023-02-28 | 2023-11-30 | -6.84 | 276 |
| 1997-08-31 | 1998-02-28 | -6.46 | 182 |